Pricing Supplement No. U498
To the Underlying Supplement dated June 24, 2010,
Product Supplement No. U-I dated October 18, 2010,
Prospectus Supplement dated March 25, 2009 and
Prospectus dated March 25, 2009
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158199-10
September 27, 2011
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![]() $181,000
Six Month High/Low Coupon Callable Yield Notes due March 30, 2012 Linked to the Performance of the S&P 500® Index, the Russell 2000® Index and the Market Vectors Gold Miners ETF
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The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlyings. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs with respect to any Underlying. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Interest will be paid every two months in arrears at a rate per annum that will depend on whether a Knock-In Event occurs. If a Knock-In Event does not occur, interest will be paid at an Applicable Rate per annum of 18.0% (approximately 9.0% over the term of the securities). If a Knock-In Event occurs during any Observation Period, interest for that period and each subsequent interest period will be paid at an Applicable Rate per annum of 4.0% (approximately 2.0% over the term of the securities). Interest will be calculated on a 30/360 basis, subject to Early Redemption.
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The Issuer may redeem the securities, in whole but not in part, on any Interest Payment Date scheduled to occur on or after November 30, 2011. No interest will accrue or be payable following an Early Redemption.
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Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing March 30, 2012.†
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Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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The securities priced on September 27, 2011 (the “Trade Date”) and are expected to settle on September 30, 2011. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
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Underlyings:
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Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:
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Underlying
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Ticker
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Initial Level
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Knock-In Level
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S&P 500 Index (“SPX”)
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SPX
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1175.38
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787.5046
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Russell 2000 Index (“RTY”)
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RTY
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680.23
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455.7541
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Market Vectors Gold Miners ETF (“GDX”)
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GDX UP
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57.07
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38.2369
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Applicable Rate:
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If a Knock-In Event does not occur, the Applicable Rate will be 18.0% per annum (approximately 9.0% over the term of the securities).
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If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding interest period and each subsequent interest period will be 4.0% per annum (approximately 2.0% over the term of the securities).
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Interest will be calculated on a 30/360 basis.
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Interest Payment Dates:
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Unless redeemed earlier, interest will be paid every two months in arrears at the Applicable Rate per annum on November 30, 2011, January 30, 2012 and the Maturity Date, subject to the modified following business day convention. No interest will accrue or be payable following an Early Redemption.
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Redemption Amount:
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The Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event occurs. If the securities are not subject to Early Redemption, the Redemption Amount will be determined as follows:
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If a Knock-In Event occurs during any Observation Period, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level of each of the Underlyings is greater than or equal to its Initial Level, the Redemption Amount will be less than the principal amount of the securities and you could lose your entire investment.
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If a Knock-In Event does not occur during any Observation Period, the Redemption Amount will equal the principal amount of the securities you hold.
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Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Early Redemption:
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The Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after November 30, 2011, upon at least three business days notice at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.
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Knock-In Event:
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A Knock-In Event occurs if the closing level of any Underlying is less than or equal to its Knock-In Level on any trading day for that Underlying during any Observation Period.
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Knock-In Level:
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For each Underlying, as set forth in the table above.
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Lowest Performing Underlying:
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The Underlying with the lowest Underlying Return.
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Underlying Return:
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For each Underlying, the Underlying Return will be calculated as follows:
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Final Level – Initial Level
Initial Level
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, subject to a maximum of zero
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Initial Level:
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For each Underlying, as set forth in the table above.
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Final Level:
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For each Underlying, the closing level of such Underlying on the Valuation Date.
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Observation Periods:
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There are three Observation Periods. The first Observation Period will be from but excluding the Trade Date to and including the first Observation Date. Each subsequent Observation Period will be from but excluding an Observation Date to and including the next following Observation Date.
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Observation Dates:†
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November 25, 2011, January 25, 2012 and the Valuation Date.
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Valuation Date:†
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March 27, 2012
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Maturity Date:†
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March 30, 2012
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Listing:
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The securities will not be listed on any securities exchange.
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CUSIP:
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22546TEY3
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Price to Public
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Underwriting Discounts and Commissions(1)
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Proceeds to Issuer
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Per security
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$1,000.00
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$15.00
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$985.00
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Total
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$181,000.00
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$2,665.00
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$178,335.00
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee
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Notes
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$181,000.00
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$21.01
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Underlying supplement dated June 24, 2010:
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Product supplement No. U-I dated October 18, 2010:
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Prospectus supplement dated March 25, 2009:
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Prospectus dated March 25, 2009:
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Principal
Amount
of Securities
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Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
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Underlying Return of the Lowest Performing Underlying
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Redemption
Amount
(Knock-In Event
does not occur)
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Total Interest
Payment on
the Securities
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Total Payment
on the Securities
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$1,000.00
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50.00%
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0.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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40.00%
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0.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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30.00%
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0.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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20.00%
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0.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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10.00%
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0.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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−10.00%
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−10.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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−20.00%
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−20.00%
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$1,000.00
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$90.00
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$1,090.00
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$1,000.00
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−32.99%
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−32.99%
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$1,000.00
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$90.00
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$1,090.00
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Principal
Amount
of Securities
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Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
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Underlying Return of the Lowest Performing Underlying
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Redemption Amount (Knock-In Event occurs during the first Observation Period)
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Total Interest
Payment on
the Securities
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Total Payment
on the Securities
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$1,000.00
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50.00%
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0.00%
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$1,000.00
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$20.00
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$1,020.00
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$1,000.00
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40.00%
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0.00%
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$1,000.00
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$20.00
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$1,020.00
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$1,000.00
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30.00%
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0.00%
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$1,000.00
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$20.00
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$1,020.00
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$1,000.00
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20.00%
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0.00%
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$1,000.00
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$20.00
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$1,020.00
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$1,000.00
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10.00%
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0.00%
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$1,000.00
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$20.00
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$1,020.00
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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$20.00
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$1,020.00
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$1,000.00
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−10.00%
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−10.00%
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$900.00
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$20.00
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$920.00
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$1,000.00
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−20.00%
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−20.00%
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$800.00
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$20.00
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$820.00
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$1,000.00
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−30.00%
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−30.00%
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$700.00
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$20.00
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$720.00
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$1,000.00
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−40.00%
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−40.00%
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$600.00
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$20.00
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$620.00
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$1,000.00
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−50.00%
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−50.00%
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$500.00
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$20.00
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$520.00
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Principal
Amount
of Securities
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Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
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Underlying Return of the Lowest Performing Underlying
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Redemption Amount (Knock-In Event occurs during the second Observation Period)
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Total Interest
Payment on
the Securities
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Total Payment
on the Securities
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$1,000.00
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50.00%
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0.00%
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$1,000.00
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$43.33
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$1,043.33
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$1,000.00
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40.00%
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0.00%
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$1,000.00
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$43.33
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$1,043.33
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$1,000.00
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30.00%
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0.00%
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$1,000.00
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$43.33
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$1,043.33
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$1,000.00
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20.00%
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0.00%
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$1,000.00
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$43.33
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$1,043.33
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$1,000.00
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10.00%
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0.00%
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$1,000.00
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$43.33
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$1,043.33
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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$43.33
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$1,043.33
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$1,000.00
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−10.00%
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−10.00%
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$900.00
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$43.33
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$943.33
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$1,000.00
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−20.00%
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−20.00%
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$800.00
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$43.33
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$843.33
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$1,000.00
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−30.00%
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−30.00%
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$700.00
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$43.33
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$743.33
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$1,000.00
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−40.00%
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−40.00%
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$600.00
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$43.33
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$643.33
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$1,000.00
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−50.00%
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−50.00%
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$500.00
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$43.33
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$543.33
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Principal
Amount
of Securities
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Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
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Underlying Return of the Lowest Performing Underlying
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Redemption Amount (Knock-In Event occurs during the third Observation Period)
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Total Interest
Payment on
the Securities
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Total Payment
on the Securities
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$1,000.00
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50.00%
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0.00%
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$1,000.00
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$66.67
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$1,066.67
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$1,000.00
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40.00%
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0.00%
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$1,000.00
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$66.67
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$1,066.67
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$1,000.00
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30.00%
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0.00%
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$1,000.00
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$66.67
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$1,066.67
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$1,000.00
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20.00%
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0.00%
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$1,000.00
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$66.67
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$1,066.67
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$1,000.00
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10.00%
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0.00%
|
$1,000.00
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$66.67
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$1,066.67
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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$66.67
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$1,066.67
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$1,000.00
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−10.00%
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−10.00%
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$900.00
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$66.67
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$966.67
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$1,000.00
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−20.00%
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−20.00%
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$800.00
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$66.67
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$866.67
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$1,000.00
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−30.00%
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−30.00%
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$700.00
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$66.67
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$766.67
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$1,000.00
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−40.00%
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−40.00%
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$600.00
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$66.67
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$666.67
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$1,000.00
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−50.00%
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−50.00%
|
$500.00
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$66.67
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$566.67
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level on the
Valuation Date
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SPX
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1170
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1170.00
(100% of Initial Level)
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1287.00
(110% of Initial Level)
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RTY
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690
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462.30
(67% of Initial Level)
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462.30
(67% of Initial Level)
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GDX
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$57
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$45.60
(80% of Initial Level)
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$57.00
(100% of Initial Level)
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Final Level of RTY – Initial Level of RTY
Initial Level of RTY
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; subject to a maximum of 0.00
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level on the
Valuation Date
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SPX
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1170
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783.90
(67% of Initial Level)
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1287.00
(110% of Initial Level)
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RTY
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690
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600.30
(87% of Initial Level)
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600.30
(87% of Initial Level)
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GDX
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$57
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$51.30
(90% of Initial Level)
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$62.70
(110% of Initial Level)
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Final Level of RTY – Initial Level of RTY
Initial Level of RTY
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; subject to a maximum of 0.00
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level on the
Valuation Date
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SPX
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1170
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936.00
(80% of Initial Level)
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1404.00
(120% of Initial Level)
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RTY
|
690
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621.00
(90% of Initial Level)
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828.00
(120% of Initial Level)
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GDX
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$57
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$38.19
(67% of Initial Level)
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$62.70
(110% of Initial Level)
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Final Level of GDX – Initial Level of GDX
Initial Level of GDX
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; subject to a maximum of 0.00
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level on the
Valuation Date
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SPX
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1170
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1017.90
(87% of Initial Level)
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1287.00
(110% of Initial Level)
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RTY
|
690
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607.20
(88% of Initial Level)
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759.00
(110% of Initial Level)
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GDX
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$57
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$48.45
(85% of Initial Level)
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$62.70
(110% of Initial Level)
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YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY— You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued or unpaid interest. If a Knock-In Event occurs during any Observation Period and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will not receive the maximum amount of interest payable on the securities and you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities, and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur and, in the event that there is a Knock-In Event, whether and by how much the Final Level of the Lowest Performing Underlying will decrease in comparison to its Initial Level. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS ACCRUED AND UNPAID INTEREST AT THE APPLICABLE RATE, AT MATURITY OR UPON EARLY REDEMPTION— The securities will not pay more than the principal amount, plus accrued and unpaid interest at the Applicable Rate, at maturity or upon early redemption. If the Final Level of each Underlying is greater than its respective Initial Level (regardless of whether a Knock-In Event has occurred), you will not receive the appreciation of any Underlying. Assuming the securities are held to maturity and the term of the securities is exactly six months, the maximum amount payable with respect to the securities will not exceed $1,090.00 for each $1,000 principal amount of the securities.
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THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE— Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities, including any applicable interest payments, early redemption payment or payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
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IF A KNOCK-IN EVENT OCCURS DURING ANY OBSERVATION PERIOD, THE APPLICABLE RATE FOR THE CORRESPONDING INTEREST PERIOD AND EACH SUBSEQUENT INTEREST PERIOD WILL BE 4.0% PER ANNUM— If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding interest period and each subsequent interest period will be 4.0% per annum (approximately 2.0% over the term of the securities). For example, if a Knock-In Event occurs during the period from the Trade Date to the first Observation Date, the Applicable Rate per annum for each interest period will be 4.0% and the maximum amount of interest you will be entitled to receive, assuming the term of the securities is exactly six months, will be $20.00 per $1,000 principal amount of the securities.
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IF A KNOCK-IN EVENT OCCURS, YOUR RETURN WILL BE BASED ON THE INDIVIDUAL PERFORMANCE OF THE LOWEST PERFORMING UNDERLYING— If a Knock-In Event occurs, your return will be based on the individual performance of the Lowest Performing Underlying. This will be true even if the closing level of the Lowest Performing Underlying never reached or fell below its Knock-In Level on any trading day during any Observation Period.
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•
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THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT OF THE SECURITIES EVEN IF A KNOCK-IN EVENT OCCURS WITH RESPECT TO ONLY ONE UNDERLYING AND THE FINAL LEVEL OF ONLY ONE UNDERLYING FALLS BELOW ITS INITIAL LEVEL— Even if the closing level of only one Underlying is less than or equal to its Knock-In Level on any trading day for that Underlying during any Observation Period, a Knock-In Event will have occurred. In this case, the Redemption Amount payable at maturity will be less than the principal amount of the securities if, in addition to the occurrence of a Knock-In Event, the Final Level of just one Underlying is less than its Initial Level. This will be true even if the closing level of the Lowest Performing Underlying was never less than or equal to its Knock-In Level on any trading day for that Underlying during any Observation Period.
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•
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THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO ACCRUE INTEREST OVER THE FULL TERM OF THE SECURITIES—The securities are subject to a potential early redemption. The securities may be redeemed on any Interest Payment Date scheduled to occur on or after November 30, 2011, upon at least three business days notice. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued but unpaid interest payable at the Applicable Rate on that Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid interest from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much interest as the securities.
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•
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SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING— Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing of each of three Underlyings, the individual performance of each Underlying is not combined to calculate your return and the depreciation of any Underlying is not mitigated by the appreciation of any other Underlying. Instead, the Redemption Amount payable at maturity depends on the lowest performing of the three Underlyings to which the securities are linked.
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•
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THERE ARE RISKS ASSOCIATED WITH THE MARKET VECTORS GOLD MINERS ETF —Although shares of the Market Vectors Gold Miners ETF are listed for trading on a national securities exchange and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Market Vectors Gold Miners ETF or that there will be liquidity in the trading market. The Market Vectors Gold Miners ETF is subject to management risk, which is the risk that a fund’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to the Market Vectors Gold Miners ETF’s investment strategy or otherwise, the Market Vectors Gold Miners ETF’s investment advisor may add, delete or substitute the equity securities held by the Market Vectors Gold Miners ETF. Any of these actions could adversely affect the price of the shares of the Market Vectors Gold Miners ETF and consequently the value of the securities. For additional information about the Market Vectors Gold Miners ETF, see information set forth under “The Reference Funds—The Market Vectors Gold Miners ETF” in the accompanying underlying supplement.
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THE PERFORMANCE OF THE MARKET VECTORS GOLD MINERS ETF MAY NOT CORRELATE TO THE PERFORMANCE OF ITS TRACKED INDEX— The Market Vectors Gold Miners ETF will generally invest in all of the equity securities included in the index tracked by the Market Vectors Gold Miners ETF (the “Tracked Index”). There may, however, be instances where the Market Vectors Gold Miners ETF’s investment advisor may choose to overweight another stock in the Tracked Index, purchase securities not included in the Tracked Index that the investment advisor believes are appropriate to substitute for a security included in the Tracked Index or utilize various combinations of other available investment techniques in seeking to track accurately the Tracked Index. In addition, the performance of the Market Vectors Gold Miners ETF will reflect additional transaction costs and fees that are not included in the calculation of the Tracked Index. Also, corporate actions with respect to the equity securities (such as mergers and spin-offs) may impact the variance between the Market Vectors Gold Miners ETF and the Tracked Index. Finally, because the shares of the Market Vectors Gold Miners ETF are traded on a national securities exchange and are subject to market supply and investor demand, the market value of one share of the Market Vectors Gold Miners ETF may differ from the net asset value per share of the Market Vectors Gold Miners ETF. For these reasons, the performance of the Market Vectors Gold Miners ETF may not correlate with the performance of the Tracked Index.
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RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES WITH CONCENTRATION IN THE GOLD AND SILVER MINING INDUSTRY— The stocks comprising the NYSE Arca Gold Miners Index and that are generally tracked by the Market Vectors Gold Miners ETF are stocks of companies primarily engaged in the mining of gold or silver. The shares of the Market Vectors Gold Miners ETF may be subject to increased price volatility as they are linked to a single industry, market or sector and may be more susceptible to adverse economic, market, political or regulatory occurrences affecting that industry, market or sector. Because the Market Vectors Gold Miners ETF primarily invests in stocks and ADRs of companies that are involved in the gold mining industry, and to a lesser extent the silver mining industry, the shares of the Market Vectors Gold Miners ETF are subject to certain risks associated with such companies.
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CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES PRIOR TO MATURITY— While the payment at maturity described in this pricing supplement is based on the full principal amount of your securities, the original issue price of the securities includes the agent’s commission and the cost of hedging our obligations under the securities through one or more of our affiliates. As a result, the price, if any, at which Credit Suisse (or its affiliates), will be willing to purchase securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS— Your return on the securities will not reflect the return you would realize if you actually owned shares of the Market Vectors Gold Miners ETF and the equity securities that comprise the Underlyings. The return on your investment, which is based on the percentage change in the Underlyings, is not the same as the total return based on the purchase of the shares of the Market Vectors Gold Miners ETF or the equity securities that comprise the Underlyings.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the shares of the Market Vectors Gold Miners ETF or the equity securities that comprise the Underlyings.
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ANTI-DILUTION PROTECTION IS LIMITED — The calculation agent will make anti-dilution adjustments for certain events affecting the shares of the Market Vectors Gold Miners ETF. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Market Vectors Gold Miners ETF. If an event occurs that does not require the calculation agent to make an adjustment, the value of the securities may be materially and adversely affected. For additional information, see "Description of the Securities—Adjustments—For reference funds" in the accompanying product supplement.
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LACK OF LIQUIDITY— The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
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POTENTIAL CONFLICTS— We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES— In addition to the levels of the Underlyings on any trading day during any Observation Period, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the Underlyings;
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the time to maturity of the securities;
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the Early Redemption feature, which is likely to limit the value of the securities;
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interest and yield rates in the market generally;
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global gold and silver supply and demand, which is influenced by such factors as forward selling by gold and silver producers, purchases made by gold and silver producers to unwind gold and silver hedge positions, central bank purchases and sales of gold, and production and cost levels in major gold-producing countries and in major silver-producing countries;
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investors’ expectations with respect to the rate of inflation;
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geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings, or markets generally and which may affect the levels of the Underlyings; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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if a market disruption event has occurred and is continuing with respect to a reference index, the calculation agent will determine the closing level for such reference index on that calculation date in accordance with the formula for and method of calculating such reference index last in effect prior to the commencement of the market disruption event in respect of such reference index using exchange traded prices on the relevant exchanges (as determined by the calculation agent in its sole discretion) or, if trading in any component comprising such reference index has been materially suspended or materially limited, its good faith estimate of the prices that would have prevailed on such exchanges (as determined by the calculation agent in its sole discretion) but for the suspension or limitation, as of the valuation time on that calculation date, of each component comprising such reference index (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference index” in the accompanying product supplement); and
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if a market disruption event has occurred and is continuing with respect to the reference fund, the calculation agent will determine the closing level for the reference fund on that calculation date using its good faith estimate of the settlement prices of the reference fund that would have prevailed on the relevant exchange for the reference fund but for the occurrence of a market disruption event (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference fund” in the accompanying product supplement).
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